Description: The theme of this paper relates to solving portfolio selection problems using linear programming. The authors extend the linear optimization framework for Conditional Value-at-Risk-based portfolio selection problems to optimization over a more general class of risk measure known as the class of Coherent Distortion Risk Measure. From Actuarial Research Clearing House, 2012 Vol. 1.

Description: U.K. life insurers writing participating business are required by the Financial Services Authority to value their assets and liabilities on a market-consistent basis. The purpose of this paper is to: • Explain the valuation approach based on market-consistent values and its rationale. • Set out the issues faced by life insurers in implementing the regime. • Explain how insurers addressed these issues. • Explain the importance of the modeling techniques they used.

Description: Using data from the Mexican Social Security Institute for labor risks, this paper classifies the severity of sequels in three categories: mild, moderate and high, and attempts to relate this level with the characteristics of the worker and his activities at work. Toward this goal, a model was built using a multilogistic regression, which allowed predicting the severity of physical sequels caused by a labor risk. From Actuarial Research Clearing House, 2006.

Description: This research report is a summary of an online survey and follow-up discussions with survey respondents on the current state of actuarial modeling controls within U. S. and Canadian life insurance and annuity companies. The current state was then compared to the results from the 2012 survey on this topic to examine the evolution in actuarial model controls and governance. The report also provides an industry assessment and proposes considerations for enhancing the current state towards a well-controlled governance framework.

Description: This paper investigates the implications of using the Basel II motivated Advanced Measurement Approaches as a method to assess operational risk capital charges for banks and insurance companies with regard to U.S. regulations. The AMA developed in the paper uses actuarial loss models complemented by the extreme value theory to determine the empirical probability distribution function of the aggregated capital charges in the context of various classes of copulas. From Actuarial Research Clearing House, 2006.